LSTAT2050 - Analyse statistique II - Practice

session 2

Exercise 1 - UMVUE
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Let X1 , . . . , Xn ∼ pθ (x) so that pθ (x) = θ exp[−θx]1(0,∞) (x). Find the UMVUE for g(θ) =
exp(−kθ).

Exercise 2 - UMVUE
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Let X1 , . . . , Xm ∼ U [0, θ] and Y1 , . . . , Yn ∼ U [0, θ0 ] be two samples independent from one
another. Assuming n > 1, determine the UMVUE of θ/θ0

Exercise 3 - Using Lehmann-Scheffé theorem to compute

conditional expectations
The Lehmann-Scheffé theorem (theorem 3.2) can be used to compute conditional expectations.
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This exercise illustrates this point. Let X1 , . . . , Xn ∼ U (0, θ). Besides, let T (X) = X12 + X2 and
S(X) = X(n) . Use Lehmann-Scheffé theorem to compute E[T (X)|S(X)].

Exercise 4 - simple test - problem 0

Let Θ = {0, 1} and X1 , . . . , Xn be i.i.d copies of a random variable X with the following
probability mass function

X 1 2 3 4 5 6 7 8
f0 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.86
f1 0.14 0.12 0.10 0.08 0.06 0.04 0.02 0.44

Using the Neyman-Pearson lemma, find a UMP test with level α = 0.04 and α = 0.06 for
H0 : θ = 0 vs. H1 : θ = 1.

Exercise 5 - simple test - problem 0

Let X1 , . . . , Xn be i.i.d copies of a random variable X with support (0, 1).
— Under H0 , X is uniformly distributed in the interval (0, 1).
— Under H1 , X has the following density function : p1 (x) = 3x2 1[0,1] (x).
Find a UMP test of level α = 0.02.

LSTAT2050 - Analyse statistique II - Practice session 2 1